Dear R People:
In Feller's article, "The Asymptotic Distribution of
the Range of Sums of Independent Random Variables", he
demonstrates how the range and normalized range of the
sum of n independent variables can be derived via Brownian motion.
ok. fine.
He has a section in which he uses a Bernoulli random variable
with options of -1 and 1 to get exact values and then demonstrates his
Brown motion approx. He then shows the expected value and
variance.
I was using R to duplicate the exact process. When I get my values,
they are somewhat different than Feller's. For n=6, I'm ok,
but for values larger than 6, my function is off slightly:
Example
Feller Me
4.1523 4.1679
2.0872 2.0850
Is this just due to rounding, or (probably) a mistake in my
function?
Thanks in advance for your help!
Sincerely,
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
1 Main Street
Houston, TX 77002
mailto: hodgess at uhddx01.dt.uh.edu
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